在Palshikar(2009)中发现了另一个算法:

Palshikar, G.(2009)。时间序列中峰值检测的简单算法。在Proc. 1st Int。高级数据分析，商业分析和智能(卷122)。

论文可以从这里下载。

算法是这样的:

algorithm peak1 // one peak detection algorithms that uses peak function S1 

input T = x1, x2, …, xN, N // input time-series of N points 
input k // window size around the peak 
input h // typically 1 <= h <= 3 
output O // set of peaks detected in T 

begin 
O = empty set // initially empty 

    for (i = 1; i < n; i++) do
        // compute peak function value for each of the N points in T 
        a[i] = S1(k,i,xi,T); 
    end for 

    Compute the mean m' and standard deviation s' of all positive values in array a; 

    for (i = 1; i < n; i++) do // remove local peaks which are “small” in global context 
        if (a[i] > 0 && (a[i] – m') >( h * s')) then O = O + {xi}; 
        end if 
    end for 

    Order peaks in O in terms of increasing index in T 

    // retain only one peak out of any set of peaks within distance k of each other 

    for every adjacent pair of peaks xi and xj in O do 
        if |j – i| <= k then remove the smaller value of {xi, xj} from O 
        end if 
    end for 
end

优势

本文提出了5种不同的峰值检测算法 算法在原始时间序列数据上工作(不需要平滑)

缺点

很难事先确定k和h 峰不能是平的(就像我测试数据中的第三个峰)

例子:

@Jean-Paul Smoothed Z Score算法的Dart版本:

class SmoothedZScore {
  int lag = 5;
  num threshold = 10;
  num influence = 0.5;

  num sum(List<num> a) {
    num s = 0;
    for (int i = 0; i < a.length; i++) s += a[i];
    return s;
  }

  num mean(List<num> a) {
    return sum(a) / a.length;
  }

  num stddev(List<num> arr) {
    num arrMean = mean(arr);
    num dev = 0;
    for (int i = 0; i < arr.length; i++) dev += (arr[i] - arrMean) * (arr[i] - arrMean);
    return sqrt(dev / arr.length);
  }

  List<int> smoothedZScore(List<num> y) {
    if (y.length < lag + 2) {
      throw 'y data array too short($y.length) for given lag of $lag';
    }

    // init variables
    List<int> signals = List.filled(y.length, 0);
    List<num> filteredY = List<num>.from(y);
    List<num> leadIn = y.sublist(0, lag);

    var avgFilter = List<num>.filled(y.length, 0);
    var stdFilter = List<num>.filled(y.length, 0);
    avgFilter[lag - 1] = mean(leadIn);
    stdFilter[lag - 1] = stddev(leadIn);

    for (var i = lag; i < y.length; i++) {
      if ((y[i] - avgFilter[i - 1]).abs() > (threshold * stdFilter[i - 1])) {
        signals[i] = y[i] > avgFilter[i - 1] ? 1 : -1;
        // make influence lower
        filteredY[i] = influence * y[i] + (1 - influence) * filteredY[i - 1];
      } else {
        signals[i] = 0; // no signal
        filteredY[i] = y[i];
      }

      // adjust the filters
      List<num> yLag = filteredY.sublist(i - lag, i);
      avgFilter[i] = mean(yLag);
      stdFilter[i] = stddev(yLag);
    }

    return signals;
  }
}

下面是我尝试为“Smoothed z-score算法”创建一个Ruby解决方案:

module ThresholdingAlgoMixin
  def mean(array)
    array.reduce(&:+) / array.size.to_f
  end

  def stddev(array)
    array_mean = mean(array)
    Math.sqrt(array.reduce(0.0) { |a, b| a.to_f + ((b.to_f - array_mean) ** 2) } / array.size.to_f)
  end

  def thresholding_algo(lag: 5, threshold: 3.5, influence: 0.5)
    return nil if size < lag * 2
    Array.new(size, 0).tap do |signals|
      filtered = Array.new(self)

      initial_slice = take(lag)
      avg_filter = Array.new(lag - 1, 0.0) + [mean(initial_slice)]
      std_filter = Array.new(lag - 1, 0.0) + [stddev(initial_slice)]
      (lag..size-1).each do |idx|
        prev = idx - 1
        if (fetch(idx) - avg_filter[prev]).abs > threshold * std_filter[prev]
          signals[idx] = fetch(idx) > avg_filter[prev] ? 1 : -1
          filtered[idx] = (influence * fetch(idx)) + ((1-influence) * filtered[prev])
        end

        filtered_slice = filtered[idx-lag..prev]
        avg_filter[idx] = mean(filtered_slice)
        std_filter[idx] = stddev(filtered_slice)
      end
    end
  end
end

以及示例用法:

test_data = [
  1, 1, 1.1, 1, 0.9, 1, 1, 1.1, 1, 0.9, 1, 1.1, 1, 1, 0.9, 1,
  1, 1.1, 1, 1, 1, 1, 1.1, 0.9, 1, 1.1, 1, 1, 0.9, 1, 1.1, 1,
  1, 1.1, 1, 0.8, 0.9, 1, 1.2, 0.9, 1, 1, 1.1, 1.2, 1, 1.5,
  1, 3, 2, 5, 3, 2, 1, 1, 1, 0.9, 1, 1, 3, 2.6, 4, 3, 3.2, 2,
  1, 1, 0.8, 4, 4, 2, 2.5, 1, 1, 1
].extend(ThresholdingAlgoMixin)

puts test_data.thresholding_algo.inspect

# Output: [
#   0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0,
#   0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -1, 0, 0, 0,
#   0, 0, 0, 0, 0, 0, 1, 0, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0, 0, 1,
#   1, 1, 0, 0, 0, -1, -1, 0, 0, 0, 0, 0, 0, 0, 0
# ]

下面是在Golang中实现的Smoothed z-score算法(上图)。它假设一个[]int16 (PCM 16bit样本)的切片。你可以在这里找到要点。

/*
Settings (the ones below are examples: choose what is best for your data)
set lag to 5;          # lag 5 for the smoothing functions
set threshold to 3.5;  # 3.5 standard deviations for signal
set influence to 0.5;  # between 0 and 1, where 1 is normal influence, 0.5 is half
*/

// ZScore on 16bit WAV samples
func ZScore(samples []int16, lag int, threshold float64, influence float64) (signals []int16) {
    //lag := 20
    //threshold := 3.5
    //influence := 0.5

    signals = make([]int16, len(samples))
    filteredY := make([]int16, len(samples))
    for i, sample := range samples[0:lag] {
        filteredY[i] = sample
    }
    avgFilter := make([]int16, len(samples))
    stdFilter := make([]int16, len(samples))

    avgFilter[lag] = Average(samples[0:lag])
    stdFilter[lag] = Std(samples[0:lag])

    for i := lag + 1; i < len(samples); i++ {

        f := float64(samples[i])

        if float64(Abs(samples[i]-avgFilter[i-1])) > threshold*float64(stdFilter[i-1]) {
            if samples[i] > avgFilter[i-1] {
                signals[i] = 1
            } else {
                signals[i] = -1
            }
            filteredY[i] = int16(influence*f + (1-influence)*float64(filteredY[i-1]))
            avgFilter[i] = Average(filteredY[(i - lag):i])
            stdFilter[i] = Std(filteredY[(i - lag):i])
        } else {
            signals[i] = 0
            filteredY[i] = samples[i]
            avgFilter[i] = Average(filteredY[(i - lag):i])
            stdFilter[i] = Std(filteredY[(i - lag):i])
        }
    }

    return
}

// Average a chunk of values
func Average(chunk []int16) (avg int16) {
    var sum int64
    for _, sample := range chunk {
        if sample < 0 {
            sample *= -1
        }
        sum += int64(sample)
    }
    return int16(sum / int64(len(chunk)))
}

下面是ZSCORE算法的PHP实现:

<?php
$y = array(1,7,1.1,1,0.9,1,1,1.1,1,0.9,1,1.1,1,1,0.9,1,1,1.1,1,1,1,1,1.1,0.9,1,1.1,1,1,0.9,
       1,1.1,1,1,1.1,1,0.8,0.9,1,1.2,0.9,1,1,1.1,1.2,1,1.5,10,3,2,5,3,2,1,1,1,0.9,1,1,3,
       2.6,4,3,3.2,2,1,1,0.8,4,4,2,2.5,1,1,1);

function mean($data, $start, $len) {
    $avg = 0;
    for ($i = $start; $i < $start+ $len; $i ++)
        $avg += $data[$i];
    return $avg / $len;
}
    
function stddev($data, $start,$len) {
    $mean = mean($data,$start,$len);
    $dev = 0;
    for ($i = $start; $i < $start+$len; $i++) 
        $dev += (($data[$i] - $mean) * ($data[$i] - $mean));
    return sqrt($dev / $len);
}

function zscore($data, $len, $lag= 20, $threshold = 1, $influence = 1) {

    $signals = array();
    $avgFilter = array();
    $stdFilter = array();
    $filteredY = array();
    $avgFilter[$lag - 1] = mean($data, 0, $lag);
    $stdFilter[$lag - 1] = stddev($data, 0, $lag);
    
    for ($i = 0; $i < $len; $i++) {
        $filteredY[$i] = $data[$i];
        $signals[$i] = 0;
    }


    for ($i=$lag; $i < $len; $i++) {
        if (abs($data[$i] - $avgFilter[$i-1]) > $threshold * $stdFilter[$lag - 1]) {
            if ($data[$i] > $avgFilter[$i-1]) {
                $signals[$i] = 1;
            }
            else {
                $signals[$i] = -1;
            }
            $filteredY[$i] = $influence * $data[$i] + (1 - $influence) * $filteredY[$i-1];
        } 
        else {
            $signals[$i] = 0;
            $filteredY[$i] = $data[$i];
        }
        
        $avgFilter[$i] = mean($filteredY, $i - $lag, $lag);
        $stdFilter[$i] = stddev($filteredY, $i - $lag, $lag);
    }
    return $signals;
}

$sig = zscore($y, count($y));

print_r($y); echo "<br><br>";
print_r($sig); echo "<br><br>";

for ($i = 0; $i < count($y); $i++) echo $i. " " . $y[$i]. " ". $sig[$i]."<br>";

函数scipy.signal。Find_peaks，顾名思义，在这方面很有用。但是要得到好的峰值提取，必须了解其参数宽度、阈值、距离和突出度。

根据我的测试和文档，突出的概念是“有用的概念”，可以保留好的峰值，丢弃噪声峰值。

什么是(地形)突出?它是“从山顶下降到任何更高地形所需的最低高度”，如下图所示:

这个想法是:

突出位置越高，山峰就越“重要”。